Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0704
Annualized Std Dev 0.2301
Annualized Sharpe (Rf=0%) 0.3062

Row

Daily Return Statistics

Close
Observations 3779.0000
NAs 1.0000
Minimum -0.1415
Quartile 1 -0.0058
Median 0.0011
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0070
Maximum 0.1158
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0145
Skewness -0.4820
Kurtosis 10.3146

Downside Risk

Close
Semi Deviation 0.0107
Gain Deviation 0.0100
Loss Deviation 0.0119
Downside Deviation (MAR=210%) 0.0151
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.6053
Historical VaR (95%) -0.0213
Historical ES (95%) -0.0360
Modified VaR (95%) -0.0224
Modified ES (95%) -0.0443
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-04-01 -0.6053 955 434 521
2020-02-21 2020-03-23 2020-11-10 -0.4222 184 22 162
2015-06-19 2016-02-11 2016-12-07 -0.2840 358 158 200
2011-05-02 2011-10-04 2012-09-14 -0.2791 341 109 232
2018-08-30 2018-12-24 2020-02-20 -0.2505 370 80 290

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA NA NA NA 1.5 0.2 1.6
2006 0.3 0.9 -0.1 -0.2 1.2 0.6 -0.2 0.7 -0.3 -0.9 -0.8 -0.7 0.5
2007 0.9 -0.4 -0.1 0 0.4 -0.7 -1.3 0.1 1.4 -2.7 1.1 -0.7 -2
2008 2.1 -2.9 3.5 0.8 0.6 -1 -0.7 0.3 -0.7 3.1 -9.5 3.4 -1.8
2009 -2.4 -0.1 1 -0.2 4.8 1 0.5 -2.6 -3.1 -2.7 1.7 -0.1 -2.4
2010 1.3 2 0.7 -1.7 -2.8 -0.8 -0.2 2.8 -0.1 0.1 1.7 0 2.9
2011 1.4 -1.3 0.5 0.3 -2.1 1.4 -1 -0.2 -1.9 -2.9 0.7 0 -4.9
2012 2.1 0.5 0 1 -3.3 2.7 -0.6 0.5 0.1 1.6 0.2 1.3 6.4
2013 0.7 -0.1 -1 -1.3 -0.6 1.4 1.2 -1.1 1.2 -0.7 0.1 0.6 0.3
2014 -0.1 0.2 0.8 0.6 0.5 0.6 -0.6 -0.3 -1.8 1.2 -1.8 0 -0.8
2015 -0.8 0.3 -0.4 0.9 -0.2 0.2 0.4 -2.1 0.7 0.2 0.4 -0.9 -1.4
2016 0.1 1.2 0.1 -2.5 -0.1 0.7 0.3 -0.3 0.4 -0.8 0.9 0.3 0
2017 -0.4 1.8 0 0 1.6 0.3 0.3 0.6 0.7 -0.5 -0.4 -0.7 3.6
2018 0.3 -0.4 1.4 0.4 0.6 0.1 -0.1 0.3 -0.9 2.1 0.7 0.8 5.3
2019 0.1 0.6 1.4 -1 -1.1 0.3 -1.5 0.2 -1.9 1.5 -0.8 0.2 -2.1
2020 -2.1 -2 -5.9 -3.3 1.2 -0.7 -0.8 0.8 1.3 -0.8 1.2 0.2 -10.5
2021 2 2.9 0 NA NA NA NA NA NA NA NA NA 5

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart